ORCL Options History — January 2014

In January 2014, ORCL traded between $36.49 and $38.41. ATM implied volatility averaged 17.5%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 4.2% (HV 20d: 21.6%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2014-01-02: Highest Volume — 171,172 contracts
  • 2014-01-24: Largest IV spike — 16.8% change
  • 2014-01-31: Highest IV Rank — 20.7%
  • 2014-01-02: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.68$36.49$38.41$37.84$36.90
Max Pain$32.00$32.00$32.00$32.00$32.00
ATM IV17.5%15.7%19.7%18.0%19.7%
Expected Move6.8%6.7%6.9%6.9%6.9%
HV 20d21.6%11.6%29.2%29.0%17.3%
HV 60d19.7%19.1%20.8%20.1%20.8%
IV Rank12.0%5.0%20.7%13.9%20.7%
IV Percentile24.9%3.2%52.4%32.9%52.4%
Term Structure0.9%-0.8%4.5%0.5%0.1%
VWIV23.8%21.8%25.4%25.4%22.5%
Skew 25d2.5%1.8%3.1%2.3%3.1%
Skew 10d5.6%4.3%10.6%4.8%6.8%
Call IV 25d16.6%14.8%18.6%17.7%18.6%
Put IV 25d19.1%17.3%21.7%20.0%21.7%
Bid-Ask Spread %9.244.4215.758.938.40
Gamma HHI0.180.110.250.180.11
Net GEX22.7M8.8M42.0M42.0M9.8M
Net DEX-437.4M-910.8M-143.0M-910.8M-183.8M
Net VEX-2.2M-2.5M-2.1M-2.5M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.041.780.040.97
Total Volume26,565.6678,813171,172171,17224,422
Total OI583,151.81404,817792,737792,737452,754

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$37.84$32.0018.0%6.9%29.0%13.9%25.4%2.3%0.5%42.0M-910.8M-2.5M0.048.93164,3236,849432,956359,781
2014-01-03$37.62$32.0017.9%6.9%29.2%13.7%25.3%2.6%0.5%30.1M-477.1M-2.5M1.129.079,94711,189327,264362,240
2014-01-06$37.47$32.0018.2%6.8%29.1%14.9%24.2%2.6%0.2%34.6M-471.3M-2.4M1.349.406,3248,475327,390360,367
2014-01-07$37.85$32.0016.8%6.8%28.7%9.4%25.1%2.9%-0.1%33.1M-528.1M-2.4M0.285.2828,5687,938326,088364,112
2014-01-08$37.72$32.0017.1%6.8%28.8%10.5%24.3%2.3%-0.7%33.2M-492.6M-2.3M1.2211.183,9774,836317,615369,011
2014-01-09$37.65$32.0017.0%6.8%27.2%10.0%22.9%2.3%-0.6%30.3M-475.9M-2.3M1.134.427,8198,855318,221371,425
2014-01-10$38.11$32.0016.4%6.8%27.1%7.7%25.2%2.0%0.1%28.1M-589.7M-2.2M0.5210.8110,5605,505321,888374,055
2014-01-13$37.75$32.0017.3%6.8%24.8%11.3%23.5%1.8%-0.6%32.7M-513.7M-2.2M0.654.9211,3867,396318,775370,928
2014-01-14$38.21$32.0016.5%6.9%24.0%8.4%24.9%2.4%-0.1%28.3M-591.8M-2.2M0.7610.179,0526,841321,909371,701
2014-01-15$38.41$32.0016.2%6.8%24.0%7.0%24.2%2.1%0.3%22.0M-614.6M-2.2M0.647.549,9456,373319,504372,410
2014-01-16$38.29$32.0016.9%6.8%24.2%10.0%24.7%2.1%0.1%22.4M-606.7M-2.1M0.4910.7415,2167,471320,876374,625
2014-01-17$38.21$32.0016.7%6.8%22.9%9.1%21.8%2.0%-0.3%22.9M-596.3M-2.1M1.594.4711,91418,905326,273377,342
2014-01-21$38.11$32.0016.0%6.8%12.8%6.4%23.7%2.3%4.3%17.4M-356.0M-2.1M0.719.859,1746,557219,445185,372
2014-01-22$37.98$32.0015.7%6.7%12.6%5.0%23.2%2.5%4.5%17.3M-345.1M-2.1M0.998.095,2655,222223,891187,570
2014-01-23$38.15$32.0016.1%6.7%11.6%6.8%22.3%2.3%0.6%18.2M-363.0M-2.1M0.7512.335,5004,103225,924189,848
2014-01-24$37.11$32.0018.8%6.7%15.1%17.2%23.4%2.8%0.1%13.4M-237.9M-2.1M1.786.7514,29425,376228,098191,270
2014-01-27$36.49$32.0019.6%6.7%15.7%20.3%23.6%2.9%3.6%8.8M-143.0M-2.2M0.3815.7514,0765,326221,524202,928
2014-01-28$37.10$32.0018.3%6.7%16.7%15.3%23.0%2.6%3.4%10.3M-220.7M-2.2M0.8714.058,1937,160223,979204,691
2014-01-29$36.97$32.0019.3%6.8%16.7%18.8%24.5%2.9%3.0%10.0M-203.2M-2.2M1.0211.1910,09210,249226,914209,035
2014-01-30$37.40$32.0018.2%6.7%17.1%14.8%22.8%2.9%-0.8%10.9M-263.2M-2.3M0.3610.709,6873,519231,787214,402
2014-01-31$36.90$32.0019.7%6.9%17.3%20.7%22.5%3.1%0.1%9.8M-183.8M-2.3M0.978.4012,41112,011236,343216,411